[Federal Register Volume 77, Number 210 (Tuesday, October 30, 2012)]
[Notices]
[Pages 65730-65731]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-26560]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-68093; File No. SR-CME-2012-42]


Self-Regulatory Organizations; Chicago Mercantile Exchange Inc.; 
Notice of Filing of Proposed Rule Change Regarding the Valuation of 
Securities on Deposit

October 24, 2012.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on October 10, 2012, Chicago Mercantile Exchange Inc. (``CME'') filed 
with the Securities and Exchange Commission (``Commission'') the 
proposed rule change as described in Items I, II and III below, which 
Items have been prepared primarily by CME. The Commission is publishing 
this notice to solicit comments on the proposed rule change from 
interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    CME is proposing to make certain changes to the way CME values 
securities on deposit. The text of the proposed changes is available on 
the CME's Web site at http://www.cmegroup.com, at the principal office 
of CME, and at the Commission's Public Reference Room.

[[Page 65731]]

II. Self-Regulatory Organizations Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, CME included statements 
concerning the purpose of, and basis for, the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. CME has prepared summaries, set forth in sections A, B, 
and C below, of the most significant aspects of such statements.\3\
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    \3\ The Commission has modified the text of the summaries 
prepared by CME.
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A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    CME is proposing to issue an Advisory Notice that announces certain 
changes to the way CME will value securities on deposit. Under the 
proposed changes, CME will begin using the current market value, plus 
accrued interest, to value securities on deposit. CME currently 
excludes accrued interest from the value of securities on deposit. 
Therefore, with this adjustment, accrued interest will now be included 
in the market value of the security. The purpose of the adjustment is 
to harmonize valuations with existing industry conventions. CME intends 
to implement these changes beginning on December 3, 2012, subject to 
securing required regulatory approvals.
    The proposed changes that will take effect are described in the CME 
Advisory Notice, available on the CME's Web site at http://www.cmegroup.com, at the principal office of CME, and at the 
Commission's Public Reference Room; additions are underlined and 
deletions are bracketed. CME will also make a filing with its primary 
regulator, the CFTC, with respect to the proposed changes.
    CME believes the proposed changes are consistent with the 
requirements of the Exchange Act. The proposed rules are designed to 
promote the prompt and accurate clearance and settlement of derivative 
agreements, contracts, and transactions, and to assure the safeguarding 
of securities and funds which are in the custody or control of the 
clearing agency. These changes would use the current market value, plus 
accrued interest, for securities on deposit at CME, which will better 
align CME's practices with the marketplace and expectations of its 
participants. The changes will therefore enhance CME's ability to 
manage the risks associated with discharging its responsibilities as a 
derivatives clearing organization and clearing agency. Because these 
changes will enhance CME's ability to manage its risks they are also 
designed to protect investors and the public interest and will help 
further safeguard customer funds held at the FCM level.

B. Self-Regulatory Organization's Statement on Burden on Competition

    CME does not believe that the proposed rule change will have any 
impact, or impose any burden, on competition.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    CME has not solicited, and does not intend to solicit, comments 
regarding this proposed rule change. CME has not received any 
unsolicited written comments from interested parties.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will:
    (A) by order approve or disapprove the proposed rule change or
    (B) institute proceedings to determine whether the proposed rule 
change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-CME-2012-42 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, 100 F Street NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-CME-2012-42. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Room, 100 F Street NE., 
Washington, DC 20549, on official business days between the hours of 
10:00 a.m. and 3:00 p.m. Copies of such filing also will be available 
for inspection and copying at the principal office of CME and on the 
CME's Web site at http://www.cmegroup.com.
    All comments received will be posted without change; the Commission 
does not edit personal identifying information from submissions. You 
should submit only information that you wish to make available 
publicly. All submissions should refer to File Number SR-CME-2012-42 
and should be submitted on or before November 20, 2012.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\4\
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    \4\ 17 CFR 200.30-3(a)(12).
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Elizabeth M. Murphy,
Secretary.
[FR Doc. 2012-26560 Filed 10-29-12; 8:45 am]
BILLING CODE 8011-01-P